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A probabilistic approach to the valuation of general floating-rate notes with an application to interest rate swaps
El Karoui, Nicole - In: Advances in futures and options research : a research annual 7 (1994), pp. 47-64
Persistent link: https://www.econbiz.de/10001193405
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A note on the behavior of long zero coupon rates in a no-arbitrage framework
El Karoui, Nicole; Frachot, Antoine; Geman, Hélyette - 1996
Persistent link: https://www.econbiz.de/10000936717
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Non-linear pricing theory and backward stochastic differential equations
El Karoui, Nicole - In: Financial mathematics : held in Bressanone, Italy, July …, (pp. 191-246). 1997
Persistent link: https://www.econbiz.de/10001321236
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A stochastic representation theorem with applications to optimization with and obstacle problems
Bank, Peter; El Karoui, Nicole - 2002
Persistent link: https://www.econbiz.de/10001653653
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Measuring mortality heterogeneity with multi-state models and interval-censored data
Boumezoued, Alexandre; El Karoui, Nicole; Loisel, Stéphane - In: Insurance / Mathematics & economics 72 (2017), pp. 67-82
Persistent link: https://www.econbiz.de/10011691580
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Longevity risk and capital markets : the 2015-16 update
Blake, David; El Karoui, Nicole; Loisel, Stéphane; … - In: Insurance / Mathematics & economics 78 (2018), pp. 157-173
Persistent link: https://www.econbiz.de/10011825252
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Cause-of-death mortality : what can be learned from population dynamics?
Boumezoued, Alexandre; Labit Hardy, Héloïse; El … - In: Insurance / Mathematics & economics 78 (2018), pp. 301-315
Persistent link: https://www.econbiz.de/10011825311
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Longevity risk and capital markets : the 2015-16 update
Blake, David; El Karoui, Nicole; MacMinn, Richard D.; … - 2017
Persistent link: https://www.econbiz.de/10011912030
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How can a cause-of-death reduction be compensated for by the population heterogeneity? : A dynamic approach
Kaakaï, Sarah; Labit Hardy, Héloïse; Arnold-Gaille, … - In: Insurance / Mathematics & economics 89 (2019), pp. 16-37
Persistent link: https://www.econbiz.de/10012133502
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Consistent utility of investment and consumption : a forward/backward SPDE viewpoint
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - 2017
Persistent link: https://www.econbiz.de/10012200208